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Items in the box vary per region, as for the seal mine had to stickers on the back, one on each side.
My Z5 premium didn't included headphones, some carriers include extra items in an attempt to get more customers.
I agree with you, but there's nothing else to suggest here, maybe return it and get it from O2?
Welcome to the community,
Like uliwooly said, the contents do differ from region to region, however if you feel that the product should have come with them I recommend you ask the retailer to lodge a missing accessory claim with your local Sony team.
For the issue with the seals you will have to take that up with the retailer. All devices that Sony manufacture are sent out sealed from the factory.